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Elvet Mortgages 2019-1 PLC RMBS Ratings Raised On Three Classes Of Notes; Three Classes Affirmed


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Elvet Mortgages 2019-1 PLC RMBS Ratings Raised On Three Classes Of Notes; Three Classes Affirmed


  • Following our review of Elvet Mortgages 2019-1 PLC, we raised our ratings on the class B-Dfrd, C-Dfrd, and D-Dfrd notes.
  • At the same time, we affirmed our rating on the class A, E-Dfrd, and F-Dfrd notes.
  • The transaction is backed by a pool of owner-occupied mortgage loans secured on properties in England and Wales.

LONDON (S&P Global Ratings) Jan. 31, 2023--S&P Global Ratings today raised its credit ratings on Elvet Mortgages 2019-1 PLC's class B-Dfrd notes to 'AA+ (sf)' from 'AA (sf)', C-Dfrd notes to 'AA (sf)' from 'A (sf)', and D-Dfrd notes to 'A (sf)' from 'BBB+ (sf)'. At the same time, we affirmed our 'AAA (sf)' rating on the class A notes, 'BBB (sf)' rating on the class E-Dfrd notes, and 'BBB- (sf)' rating on the class F-Dfrd notes

Today's rating actions reflect the transaction's consistent stable credit performance so far and the significant paydown of the class A notes since closing in December 2019. The transaction has been amortizing sequentially since closing and this has increased credit enhancement for the outstanding notes.

The transaction has a low level of arrears (0.2%). Total arrears are below the latest reading on our U.K. prime index where arrears are at 1.0% (see "European RMBS Index Report Q3 2022," published on Nov. 7, 2022).

Since closing, our weighted-average foreclosure frequency (WAFF) assumptions have decreased at all rating levels. The pool's weighted-average indexed current loan-to-value (LTV) ratio has declined by 10.9% since closing. The reduction in the weighted-average indexed current LTV ratio has a positive effect on our WAFF assumptions as the LTV ratio applied is calculated with a weighting of 80% of the original LTV ratio and 20% of the current LTV ratio.

This reduction in the weighted-average current LTV ratio has also led to a reduction in our weighted-average loss severity (WALS) assumptions.

Credit Analysis Results
Rating level WAFF (%) WALS (%) Credit coverage (%)
AAA 21.19 32.34 6.85
AA 14.33 25.37 3.64
A 10.80 15.12 1.63
BBB 7.45 9.83 0.73
BB 3.92 6.46 0.25
B 3.12 3.87 0.12

There are no counterparty constraints on the ratings on the notes in this transaction.

The upgrades of the class B-Dfrd, C-Dfrd, and D-Dfrd notes reflect both the increasing credit enhancement and the declining required credit coverage at all rating levels since closing. Our cash flow analysis indicated that the class B-Dfrd, C-Dfrd, and D-Dfrd notes could withstand stresses at higher ratings than those previously assigned.

The assigned ratings on the class C-Dfrd and D-Dfrd notes are below the levels indicated by our standard cash flow analysis. Given our expectation that levels of arrears could rise within U.K. residential mortgage-backed securities (RMBS) transactions due to the cost of living crisis, the assigned ratings consider the sensitivity to higher than expected levels of foreclosures (see "Cost Of Living Crisis: How Bad Could It Get For U.K. RMBS?," published on May 20, 2022). All of the ratings assigned are robust to this sensitivity.

Our credit and cash flow results indicate that the available credit enhancement for the class A, E-Dfrd, and F-Dfrd notes continues to be commensurate with the assigned rating. We therefore affirmed our ratings on the class A, E-Dfrd, and F-Dfrd notes.

Macroeconomic forecasts and forward-looking analysis

We think U.K. inflation will peak at 12% within months and remain elevated during the first half of 2023, averaging 7%. Although high inflation is overall credit negative for all borrowers, inevitably some borrowers will be more negatively affected than others and to the extent inflationary pressures materialize more quickly or more severely than currently expected, risks may emerge. Borrowers in this transaction are largely paying a fixed rate of interest on average until 2024. As a result, in the short term, some borrowers are protected from rate rises but will likely still feel the effects of rising cost of living pressures.

Elvet Mortgages 2019-1 PLC is a static RMBS transaction that securitizes a portfolio of owner-occupied mortgage loans secured on properties in England and Wales.

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Primary Credit Analyst:Josh Timmons, London (44) 20-7176-0831;
Research Contributor:Deepika Sisodiya, CRISIL Global Analytical Center, an S&P Global Ratings affiliate, Mumbai

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